Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0136 |
| Annualized Std Dev | 0.0455 |
| Annualized Sharpe (Rf=0%) | 0.2993 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3046.0000 |
| NAs | 1.0000 |
| Minimum | -0.0345 |
| Quartile 1 | -0.0011 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0013 |
| Maximum | 0.0484 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0029 |
| Skewness | 0.0862 |
| Kurtosis | 46.7518 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0021 |
| Gain Deviation | 0.0021 |
| Loss Deviation | 0.0025 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0021 |
| Downside Deviation (0%) | 0.0021 |
| Maximum Drawdown | 0.1494 |
| Historical VaR (95%) | -0.0039 |
| Historical ES (95%) | -0.0067 |
| Modified VaR (95%) | -0.0019 |
| Modified ES (95%) | -0.0019 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-05 | 2020-03-19 | 2020-06-10 | -0.1494 | 68 | 11 | 57 |
| 2009-02-17 | 2009-03-09 | 2009-07-21 | -0.0821 | 108 | 15 | 93 |
| 2012-12-03 | 2018-12-04 | 2019-08-05 | -0.0642 | 1679 | 1513 | 166 |
| 2010-10-14 | 2011-02-08 | 2011-08-04 | -0.0429 | 204 | 81 | 123 |
| 2011-08-11 | 2011-10-10 | 2012-02-01 | -0.0342 | 120 | 42 | 78 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | 0.8 | -0.4 | -0.7 | -0.5 | -0.6 | 1 | -0.2 | -0.3 | 0.4 | -0.5 | -0.2 | -1.2 |
| 2010 | -0.5 | -0.2 | -0.3 | 0.4 | -0.1 | -0.3 | 0.2 | -0.1 | -0.1 | -0.5 | -1 | 0.3 | -2.1 |
| 2011 | -0.4 | -0.2 | 0.1 | 0.2 | 0 | -0.4 | 0 | 0.1 | 0.1 | -0.1 | -0.1 | 0.3 | -0.4 |
| 2012 | 0.2 | -0.3 | -0.1 | 0 | -0.3 | 0.1 | -0.2 | 0.3 | -0.1 | 0 | 0.2 | 0 | -0.1 |
| 2013 | -0.1 | -0.1 | -0.2 | -0.1 | -0.1 | 0.1 | -0.5 | -0.1 | -0.5 | -0.3 | -0.1 | -0.2 | -2.2 |
| 2014 | 0.1 | 0.1 | -0.3 | 0 | 0 | -0.3 | 0.5 | 0.1 | 0.2 | 0.1 | -0.3 | 0 | 0.2 |
| 2015 | 0.5 | 0.1 | 0.1 | -0.5 | -0.5 | -0.3 | 0.3 | -0.1 | -0.2 | 0 | 0.1 | 0 | -0.5 |
| 2016 | -0.5 | -0.8 | -0.1 | 0.1 | -0.3 | -0.1 | -0.5 | -0.2 | 0 | -0.1 | -0.4 | 0.2 | -2.5 |
| 2017 | -0.3 | -0.6 | 0.1 | -0.2 | -0.2 | -0.1 | -0.1 | -0.3 | -0.2 | -0.2 | -0.1 | 0 | -2.1 |
| 2018 | -0.4 | -0.2 | 0.1 | -0.4 | -0.4 | 0.1 | -0.4 | -0.1 | -0.4 | -0.2 | 0 | 0.2 | -1.9 |
| 2019 | -0.4 | -0.3 | -0.5 | -0.4 | 0.3 | -0.2 | 0.3 | -0.1 | -0.1 | -0.2 | 0 | 0 | -1.7 |
| 2020 | 0.2 | 0.3 | -0.8 | -0.5 | -0.1 | 0.1 | 0 | 0.1 | 0 | -0.2 | -0.3 | 0 | -1.1 |
| 2021 | -0.1 | 0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
